def draw_order_signals(trader_name, render='html'):
df_account = get_account(trader_name=trader_name)
start_timestamp = df_account['timestamp'][0]
end_timestamp = df_account['timestamp'][-1]
df_orders = get_orders(trader_name=trader_name)
grouped = df_orders.groupby('security_id')
page = Page()
for security_id, order_df in grouped:
kdata = get_kdata(security_id=security_id,
provider='netease',
start_timestamp=start_timestamp,
end_timestamp=end_timestamp)
mark_points = order_df
kline = draw_kline(df_list=[kdata],
markpoints_list=[mark_points],
render=None)
page.add(kline)
if render == 'html':
file_name = '{}_signals'.format(trader_name)
page.render(get_ui_path(file_name))
elif render == 'notebook':
page.render_notebook()
return page
def __init__(self, trader_name,
timestamp,
base_capital=1000000,
buy_cost=0.001,
sell_cost=0.001,
slippage=0.001):
self.base_capital = base_capital
self.buy_cost = buy_cost
self.sell_cost = sell_cost
self.slippage = slippage
self.trader_name = trader_name
self.session = get_db_session('zvt', StoreCategory.business)
self.provider = 'netease'
account = get_account(session=self.session, trader_name=self.trader_name, return_type='domain', limit=1)
if account:
self.logger.warning("trader:{} has run before,old result would be deleted".format(trader_name))
self.session.query(SimAccount).filter(SimAccount.trader_name == self.trader_name).delete()
self.session.query(Position).filter(Position.trader_name == self.trader_name).delete()
self.latest_account = SimAccount(trader_name=self.trader_name, cash=self.base_capital,
positions=[], all_value=self.base_capital, value=0, timestamp=timestamp)
self.save_account(self.latest_account)
def draw_account(trader_name):
df_account = get_account(trader_name=trader_name)
df_position = get_position(trader_name=trader_name)
xdata = [to_time_str(timestamp) for timestamp in df_account.index]
ydata = df_account.loc[:, 'all_value'].values.tolist()
line = (Line().add_xaxis(xdata).add_yaxis("市值曲线", ydata).set_global_opts(
title_opts=opts.TitleOpts(title="Grid-Line", pos_top="48%"),
legend_opts=opts.LegendOpts(pos_top="48%"),
))
time_line = Timeline()
for timestamp in df_position.index:
positions = zip(
df_position.loc[timestamp, ['security_id']].values.tolist(),
df_position.loc[timestamp, ['value']].values.tolist())
security_positions = [(x[0], y[0]) for x, y in positions]
print(security_positions)
pie = Pie().add("持仓", security_positions)
time_line.add(pie, to_time_str(timestamp))
page = Page()
page.add(line, time_line)
return page
def get_account_at_time(self, timestamp):
"""
:param timestamp:
:type timestamp:
:return:
:rtype:SimAccount
"""
return get_account(session=self.session, trader_name=self.trader_name, return_type='domain',
end_timestamp=timestamp, limit=1)[0]
def draw_account(trader_name_list):
df_list = []
for trader_name in trader_name_list:
df_account = get_account(trader_name=trader_name)
df_list.append(df_account)
return draw_compare(df_list,
chart_type=Line,
columns=['all_value'],
name='trader_name')
def save_account(self, account: SimAccount):
the_id = '{}_{}'.format(self.trader_name, to_time_str(account.timestamp, TIME_FORMAT_ISO8601))
account_domain = get_account(session=self.session, trader_name=self.trader_name,
filters=[SimAccount.id == the_id], return_type='domain')
if account_domain:
account_domain = account_domain[0]
else:
account_domain = SimAccount(id=the_id, trader_name=self.trader_name, cash=account.cash,
positions=account.positions,
all_value=account.all_value, value=account.value, timestamp=account.timestamp)
self.session.add(account_domain)
self.session.commit()
def draw_account_list(trader_name_list, render='html'):
df_list = []
for trader_name in trader_name_list:
df_account = get_account(trader_name=trader_name)
df_list.append(df_account)
if len(trader_name_list) == 1:
file_name = trader_name_list[0]
else:
file_name = '_vs_'.join(trader_name_list)
return draw_line(df_list,
columns=['all_value'],
name_field='trader_name',
file_name=file_name,
render=render)
def __init__(self,
trader_name,
timestamp,
provider=Provider.NETEASE,
level=TradingLevel.LEVEL_1DAY,
base_capital=1000000,
buy_cost=0.001,
sell_cost=0.001,
slippage=0.001):
self.base_capital = base_capital
self.buy_cost = buy_cost
self.sell_cost = sell_cost
self.slippage = slippage
self.trader_name = trader_name
self.session = get_db_session('zvt', StoreCategory.business)
self.provider = provider
self.level = level
self.start_timestamp = timestamp
account = get_account(session=self.session,
trader_name=self.trader_name,
return_type='domain',
limit=1)
if account:
self.logger.warning(
"trader:{} has run before,old result would be deleted".format(
trader_name))
self.session.query(SimAccount).filter(
SimAccount.trader_name == self.trader_name).delete()
self.session.query(Position).filter(
Position.trader_name == self.trader_name).delete()
self.session.query(Order).filter(
Order.trader_name == self.trader_name).delete()
self.session.commit()
account = SimAccount(trader_name=self.trader_name,
cash=self.base_capital,
positions=[],
all_value=self.base_capital,
value=0,
closing=False,
timestamp=timestamp)
self.latest_account = sim_account_schema.dump(account).data
def on_trading_open(self, timestamp):
if is_same_date(timestamp, self.start_timestamp):
return
# get the account for trading at the date
account = get_account(session=self.session, trader_name=self.trader_name, return_type='domain',
end_timestamp=timestamp, limit=1, order=SimAccount.timestamp.desc())[0]
positions = []
# FIXME:dump all directly
for position_domain in account.positions:
position_dict = position_schema.dump(position_domain).data
self.logger.info('current position:{}'.format(position_dict))
del position_dict['sim_account']
positions.append(position_dict)
self.latest_account = sim_account_schema.dump(account).data
self.latest_account['positions'] = positions
self.logger.info('on_trading_open:{},latest_account:{}'.format(timestamp, self.latest_account))
def __init__(self,
trader_name,
model_name,
timestamp,
base_capital=1000000,
buy_cost=0.001,
sell_cost=0.001,
slippage=0.001):
self.base_capital = base_capital
self.buy_cost = buy_cost
self.sell_cost = sell_cost
self.slippage = slippage
self.trader_name = trader_name
self.model_name = model_name
self.session = get_db_session('trader')
account = get_account(trader_name=self.trader_name,
model_name=self.model_name,
limit=1)
if account:
self.logger.warning(
"trader:{} has run before,old result would be deleted".format(
trader_name))
self.session.query(SimAccount).filter(
SimAccount.trader_name == self.trader_name).delete()
self.account = SimAccount()
self.account.trader_name = trader_name
self.account.model_name = model_name
self.account.cash = self.base_capital
self.account.positions = []
self.account.all_value = self.base_capital
self.account.value = 0
self.account.timestamp = timestamp
self.account_to_queue()
t = threading.Thread(target=self.saving_account_worker)
t.start()